Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257637 
Authors: 
Year of Publication: 
2019
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 7 [Issue:] 3 [Article No.:] 39 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-35
Publisher: 
MDPI, Basel
Abstract: 
In this paper, we examined and compared the forecast performances of the dynamic Nelson-Siegel (DNS), dynamic Nelson-Siegel-Svensson (DNSS), and arbitrage-free Nelson-Siegel (AFNS) models after the financial crisis period. The best model for the forecast performance is the DNSS model in the middle and long periods. The AFNS is inferior to the DNS model for long-period forecasting. In U.S. bond markets, AFNS is shown to be superior to DNS in the U.S. However, for Japanese data, there is no evidence that the AFNS is superior to the DNS model in the long forecast horizon.
Subjects: 
dynamic Nelson&#x2013
Siegel
arbitrage-free Nelson&#x2013
Siegel
affine term structure
forecasting
JEL: 
G12
G14
G17
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.